Modern multi-factor analysis of bond portfolios : critical implications for hedging and investing
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Bibliographic Information
Modern multi-factor analysis of bond portfolios : critical implications for hedging and investing
（Palgrave pivot）
Palgrave Macmillan, 2016
- : hardback
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Note
Bibliography: p. 115-120
Includes index
Description and Table of Contents
Description
Where institutions and individuals averagely invest the majority of their assets in money-market and fixed-income instruments, interest rate risk management could be seen as the single most important global financial issue. However, the majority of the key techniques used by most investors were developed several decades ago, and the advantages of multi-factor models are not fully recognised by many researchers and practitioners.
This book provides clear and practical insight into bond portfolios and portfolio management through key empirical analysis. The authors use extensive sets of empirical data to describe the value potentially added by more recent techniques to manage interest rate risk relative to traditional techniques and to present empirical evidence of such an added value. Beginning with a description of the simplest models and moving on to the most complex, the authors offer key recommendations for the future of rate risk management.
Table of Contents
1. Introduction
2. Adjusting principal component analysis for model errors: Nicola Carcano
2.1. The hedging models
2.2. The results
2.3. Conclusions
2.4. Appendix
3. Alternative models for hedging yield curve risk: an empirical comparison: Nicola Carcano and Hakim Dall'O
3.1. The hedging methodology
3.2. The dataset and the testing approach
3.3. The results
3.4. Conclusions
4. Applying error-adjusted hedging to corporate bond portfolios: Giovanni Barone-Adesi, Nicola Carcano and Hakim Dall'O
4.1. Dataset and calculation of unexpected returns
4.2. Methodology
4.3. Results
4.4. Conclusions
4.5. Appendix 1
4.6. Appendix 2
5. Credit risk premium: measurement, interpretation & portfolio allocation: Radu Gabudean, Wok Yuen Ng and Bruce D. Phelps
5.1. Measures of the credit risk premium
5.2. The long-term credit risk premium: Jan 1973-Nov 2012
5.3. Optimal combination of IG corporates and treasuries
5.4. Conclusion
6. Conclusion: Giovanni Barone-Adesi and Nicola Carcano
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